Research on The Relationship between Volume and Price of China’s Stock Market Based on Markov Mechanism Mixed Copula Model

Abstract

The GK volatility is introduced, and the construction mechanism is used to transform the mixed Copula model to study the tail correlation between the volume and price of the stock market under different mechanisms. 5minute high-frequency price and trading volume data of the Shanghai Stock Exchange(SSE) and Shenzhen Stock Exchange(SZSE) were used for empirical research. Research shows that the tail of the volume-price relationship between the two stock markets is asymmetric, and the upper tail is clearly larger than the lower tail. The mixed copula of mechanism conversion can better describe the tail correlation of the two stock markets; the tail of the volume-price relationship has the high correlation and low correlation.In both states, the upper correlation transition probability and duration are significantly greater than the low correlation, and the two mechanisms alternate. The tails of the two market volumeprice relationships are time-varying.